投资学题库.docx
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投资学题库.docx
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投资学题库
Chapter11
TheEfficientMarketHypothesis
MultipleChoiceQuestions 1. Ifyoubelieveinthe________formoftheEMH,youbelievethatstockpricesreflectallrelevantinformationincludinghistoricalstockpricesandcurrentpublicinformationaboutthefirm,butnotinformationthatisavailableonlytoinsiders. A. Semistrong
2. WhenMauriceKendallexaminedthepatternsofstockreturnsin1953heconcludedthatthestockmarketwas__________.Now,theserandompricemovementsarebelievedtobe_________. A. inefficient;theeffectofawell-functioningmarket
3. Thestockmarketfollowsa__________. B. Submartingale
4. Ahybridstrategyisonewheretheinvestor D. maintainsapassivecoreandaugmentsthepositionwithanactivelymanagedportfolio.
5. Thedifferencebetweenarandomwalkandasubmartingaleistheexpectedpricechangeinarandomwalkis______andtheexpectedpricechangeforasubmartingaleis______. D. zero;positive
6.6. Thedifferencebetweenarandomwalkandasubmartingaleistheexpectedpricechangeinarandomwalkis______andtheexpectedpricechangeforasubmartingaleis______. D. zero;positive 7. ProponentsoftheEMHtypicallyadvocate B. investinginanindexfund.C. apassiveinvestmentstrategy.E. BandC
8. ProponentsoftheEMHtypicallyadvocate C. apassiveinvestmentstrategy.
9. Ifyoubelieveinthe_______formoftheEMH,youbelievethatstockpricesreflectallinformationthatcanbederivedbyexaminingmarkettradingdatasuchasthehistoryofpaststockprices,tradingvolumeorshortinterest. C. Weak
10. Ifyoubelieveinthe_________formoftheEMH,youbelievethatstockpricesreflectallavailableinformation,includinginformationthatisavailableonlytoinsiders. B. strong 11. Ifyoubelieveinthereversaleffect,youshould C. buystocksthisperiodthatperformedpoorlylastperiod.
12. __________focusmoreonpastpricemovementsofafirm'sstockthanontheunderlyingdeterminantsoffutureprofitability. D. Technicalanalysts13. _________abovewhichitisdifficultforthemarkettorise. B. Resistancelevelisavalue
14. _________belowwhichitisdifficultforthemarkettofall. C. Supportlevelisavalue
15. ___________thereturnonastockbeyondwhatwouldbepredictedfrommarketmovementsalone. A. AnexcesseconomicreturnisC. AnabnormalreturnisE. AandC
16. Thedebateoverwhethermarketsareefficientwillprobablyneverberesolvedbecauseof________. A. theluckyeventissue.B. themagnitudeissue.C. theselectionbiasissue.D. alloftheabove.
17. Acommonstrategyforpassivemanagementis____________. A. creatinganindexfund 18. Arbel(1985)foundthat A. theJanuaryeffectwashighestforneglectedfirms.
19. Researchershavefoundthatmostofthesmallfirmeffectoccurs D. inJanuary.
20. Basu(1977,1983)foundthatfirmswithlowP/Eratios A. earnedhigheraveragereturnsthanfirmswithhighP/Eratios.21. Jaffe(1974)foundthatstockprices_________afterinsidersintensivelyboughtshares. C. increased22. Banz(1981)foundthat,onaverage,therisk-adjustedreturnsofsmallfirms A. werehigherthantherisk-adjustedreturnsoflargefirms.
23. ProponentsoftheEMHthinktechnicalanalysts E. arewastingtheirtime.
24. Studiesofpositiveearningssurpriseshaveshownthatthereis A. apositiveabnormalreturnonthedaypositiveearningssurprisesareannounced.B. apositivedriftinthestockpriceonthedaysfollowingtheearningssurpriseannouncement.D. bothAandBaretrue.
25. Studiesofnegativeearningssurpriseshaveshownthatthereis A. anegativeabnormalreturnonthedaynegativeearningssurprisesareannounced.B. apositivedriftinthestockpriceonthedaysfollowingtheearningssurpriseannouncement.D. bothAandBaretrue.
26. Studiesofstockpricereactionstonewsarecalled B. eventstudies.
27. OnNovember22,2005thestockpriceofWalmartwas$andtheretailerstockindexwas.OnNovember25,2005thestockpriceofWalmartwas$andtheretailerstockindexwas.ConsidertheratioofWalmarttotheretailerindexonNovember22andNovember25.Walmartis_______theretailindustryandtechnicalanalystswhofollowrelativestrengthwouldadvise_______thestock. A. outperforming,buying28. WorkbyAmihudandMendelson(1986,1991) A. arguesthatinvestorswilldemandarateofreturnpremiumtoinvestinlessliquidstocks.B. mayhelpexplainthesmallfirmeffect.C. mayberelatedtotheneglectedfirmeffect.E. A,B,andC.
29. FamaandFrench(1992)foundthatthestocksoffirmswithinthehighestdecileofmarket/bookratioshadaveragemonthlyreturnsof_______whilethestocksoffirmswithinthelowestdecileofmarket/bookratioshadaveragemonthlyreturnsof________. C. lessthan1%,greaterthan1%30. Amarketdeclineof23%onadaywhenthereisnosignificantmacroeconomicevent______consistentwiththeEMHbecause________. D. wouldnotbe,itwasnotaclearresponsetomacroeconomicnews.
31. Inanefficientmarket,__________. A. securitypricesreactquicklytonewinformationB. securitypricesareseldomfaraboveorbelowtheirjustifiedlevelsC. securityanalystswillnotenableinvestorstorealizesuperiorreturnsconsistentlyE. A,B,andC
32. Theweakformoftheefficientmarkethypothesisassertsthat B. futurechangesinstockpricescannotbepredictedfrompastprices.C. technicianscannotexpecttooutperformthemarket.E. BandC
33. Asupportlevelisthepricerangeatwhichatechnicalanalystwouldexpectthe C. demandforastocktoincreasesubstantially.
34. Afindingthat_________wouldprovideevidenceagainstthesemistrongformoftheefficientmarkettheory. A. lowP/EstockstendtohavepositiveabnormalreturnsC. onecanconsistentlyoutperformthemarketbyadoptingthecontrarianapproachexemplifiedbythereversalsphenomenonE. AandC
35. Theweakformoftheefficientmarkethypothesiscontradicts D. technicalanalysis,butissilentonthepossibilityofsuccessfulfundamentalanalysis.36. Twobasicassumptionsoftechnicalanalysisarethatsecuritypricesadjust C. graduallytonewinformationandmarketpricesaredeterminedbytheinteractionofsupplyanddemand.
37. Cumulativeabnormalreturns(CAR) A. areusedineventstudies.B. arebettermeasuresofsecurityreturnsduetofirm-specificeventsthanareabnormalreturns(AR).D. AandB.38. Studiesofmutualfundperformance A. indicatethatoneshouldnotrandomlyselectamutualfund.B. indicatethathistoricalperformanceisnotnecessarilyindicativeoffutureperformance.D. AandB. 39. Thelikelihoodofaninvestmentnewsletter'ssuccessfullypredictingthedirectionofthemarketforthreeconsecutiveyearsbychanceshouldbe C. between10%and25%.40. Inanefficientmarketthecorrelationcoefficientbetweenstockreturnsfortwonon-overlappingtimeperiodsshouldbe C. zero.41. TheweatherreportsaysthatadevastatingandunexpectedfreezeisexpectedtohitFloridatonight,duringthepeakofthecitrusharvest.InanefficientmarketonewouldexpectthepriceofFloridaOrange'sstockto A. dropimmediately.
42. MatthewsCorporationhasabetaof.Theannualizedmarketreturnyesterdaywas13%,andtherisk-freerateiscurrently5%.YouobservethatMatthewshadanannualizedreturnyesterdayof17%.Assumingthatmarketsareefficient,thissuggeststhat B. goodnewsaboutMatthewswasannouncedyesterday.
43. NicholasManufacturingjustannouncedyesterdaythatits4thquarterearningswillbe10%higherthanlastyear's4thquarter.YouobservethatNicholashadanabnormalreturnof%yesterday.Thissuggeststhat C. investorsexpectedtheearningsincreasetobelargerthanwhatwasactuallyannounced.
44. WhenMauriceKendallfirstexaminedstockpricepatternsin1953,hefoundthat B. therewerenopredictablepatternsinstockprices.
45. Ifstockpricesfollowarandomwalk D. pricechangesarerandom.
46. Themaindifferencebetweenthethreeformsofmarketefficiencyisthat D. thedefinitionofinformationdiffers.
47. Chartistspractice A. technicalanalysis.
48. WhichofthefollowingareusedbyfundamentalanalyststodetermineproperstockpricesI)trendlinesII)earningsIII)dividendprospectsIV)expectationsoffutureinterestratesV)resistancelevels C. II,III,andIV 49. Accordingtoproponentsoftheefficientmarkethypothesis,thebeststrategyforasmallinvestorwithaportfolioworth$40,000isprobablyto E. investinmutualfunds.
50. WhichofthefollowingareinvestmentsuperstarswhohaveconsistentlyshownsuperiorperformanceI)WarrenBuffetII)PhoebeBuffetIII)PeterLynchIV)MerrillLynchV)JimmyBuffet C. IandIII
51. Googlehasabetaof.Theannualizedmarketreturnyesterdaywas11%,andtherisk-freerateiscurrently5%.YouobservethatGooglehadanannualizedreturnyesterdayof14%.Assumingthatmarketsareefficient,thissuggeststhat B. goodnewsaboutGooglewasannouncedyesterday.
52. MusicDoctorshasabetaof.Theannualizedmarketreturnyesterdaywas12%,andtherisk-freerateiscurrently4%.YouobservethatMusicDoctorshadanannualizedreturnyesterdayof15%.Assumingthatmarketsareefficient,thissuggeststhat A. badnewsaboutMusicDoctorswasannouncedyesterday.53. QQAGhasabetaof.Theannualizedmarketreturnyesterdaywas13%,andtherisk-freerateiscurrently3%.YouobservethatQQAGhadanannualizedreturnyesterdayof20%.Assumingthatmarketsareefficient,thissuggeststhat C. nosignificantnewsaboutQQAGwasannouncedyesterday.
54. QQAGjustannouncedyesterdaythatits4thquarterearningswillbe35%higherthanlastyear's4thquarter.YouobservethatQQAGhadanabnormalreturnof%yesterday.Thissuggeststhat C. investorsexpectedt
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